Habibullah, Muzafar Shah and Azali, M. and Azman-Saini, W.N.W. and Baharumshah, Ahmad Zubaidi
A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test.
Analisis, 7 (1&2).
The purpose of the present paper is to determine whether stock returns are leading indicator for future economic activity in Malaysia. In this study we employ the Granger non-causality test recently proposed by Toda and Yamamoto (1995) to test the causal relationships between the KLSE stock prices and six macroeconomic variables for the sample period 1981:l to 1994:4. Our results indicate that stock prices are independent with respect with macroeconomic variables, except with money supply
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